| //+------------------------------------------------------------------+
|
| //| kmeans.mq5 |
|
| //| Copyright 2021, DNG |
|
| //| https://www.mql5.com/ru/users/dng |
|
| //+------------------------------------------------------------------+
|
| #property copyright "Copyright 2022, DNG"
|
| #property link "https://www.mql5.com/ru/users/dng"
|
| #property version "1.00"
|
| //+------------------------------------------------------------------+
|
| //| Includes |
|
| //+------------------------------------------------------------------+
|
| #include "pca.mqh"
|
| #include <Trade\SymbolInfo.mqh>
|
| #include <Indicators\Oscilators.mqh>
|
| //+------------------------------------------------------------------+
|
| //| Input parameters |
|
| //+------------------------------------------------------------------+
|
| input int StudyPeriod = 15; //Study period, years
|
| input uint HistoryBars = 20; //Depth of history
|
| ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT;
|
| //---
|
| input group "---- RSI ----"
|
| input int RSIPeriod = 14; //Period
|
| input ENUM_APPLIED_PRICE RSIPrice = PRICE_CLOSE; //Applied price
|
| //---
|
| input group "---- CCI ----"
|
| input int CCIPeriod = 14; //Period
|
| input ENUM_APPLIED_PRICE CCIPrice = PRICE_TYPICAL; //Applied price
|
| //---
|
| input group "---- ATR ----"
|
| input int ATRPeriod = 14; //Period
|
| //---
|
| input group "---- MACD ----"
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| input int FastPeriod = 12; //Fast
|
| input int SlowPeriod = 26; //Slow
|
| input int SignalPeriod = 9; //Signal
|
| input ENUM_APPLIED_PRICE MACDPrice = PRICE_CLOSE; //Applied price
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| CSymbolInfo *Symb;
|
| MqlRates Rates[];
|
| CPCA *PCA;
|
| CArrayDouble *TempData;
|
| CiRSI *RSI;
|
| CiCCI *CCI;
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| CiATR *ATR;
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| CiMACD *MACD;
|
| //+------------------------------------------------------------------+
|
| //| Expert initialization function |
|
| //+------------------------------------------------------------------+
|
| int OnInit()
|
| {
|
| //---
|
| Symb = new CSymbolInfo();
|
| if(CheckPointer(Symb) == POINTER_INVALID || !Symb.Name(_Symbol))
|
| return INIT_FAILED;
|
| Symb.Refresh();
|
| //---
|
| RSI = new CiRSI();
|
| if(CheckPointer(RSI) == POINTER_INVALID || !RSI.Create(Symb.Name(), TimeFrame, RSIPeriod, RSIPrice))
|
| return INIT_FAILED;
|
| //---
|
| CCI = new CiCCI();
|
| if(CheckPointer(CCI) == POINTER_INVALID || !CCI.Create(Symb.Name(), TimeFrame, CCIPeriod, CCIPrice))
|
| return INIT_FAILED;
|
| //---
|
| ATR = new CiATR();
|
| if(CheckPointer(ATR) == POINTER_INVALID || !ATR.Create(Symb.Name(), TimeFrame, ATRPeriod))
|
| return INIT_FAILED;
|
| //---
|
| MACD = new CiMACD();
|
| if(CheckPointer(MACD) == POINTER_INVALID || !MACD.Create(Symb.Name(), TimeFrame, FastPeriod, SlowPeriod, SignalPeriod, MACDPrice))
|
| return INIT_FAILED;
|
| //---
|
| PCA = new CPCA();
|
| if(CheckPointer(PCA) == POINTER_INVALID)
|
| return INIT_FAILED;
|
| //---
|
| bool bEventStudy = EventChartCustom(ChartID(), 1, 0, 0, "Init");
|
| //---
|
| return(INIT_SUCCEEDED);
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert deinitialization function |
|
| //+------------------------------------------------------------------+
|
| void OnDeinit(const int reason)
|
| {
|
| //---
|
| if(CheckPointer(Symb) != POINTER_INVALID)
|
| delete Symb;
|
| //---
|
| if(CheckPointer(RSI) != POINTER_INVALID)
|
| delete RSI;
|
| //---
|
| if(CheckPointer(CCI) != POINTER_INVALID)
|
| delete CCI;
|
| //---
|
| if(CheckPointer(ATR) != POINTER_INVALID)
|
| delete ATR;
|
| //---
|
| if(CheckPointer(MACD) != POINTER_INVALID)
|
| delete MACD;
|
| //---
|
| if(CheckPointer(PCA) != POINTER_INVALID)
|
| delete PCA;
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| Expert tick function |
|
| //+------------------------------------------------------------------+
|
| void OnTick()
|
| {
|
| //---
|
| }
|
| //+------------------------------------------------------------------+
|
| //| ChartEvent function |
|
| //+------------------------------------------------------------------+
|
| void OnChartEvent(const int id,
|
| const long &lparam,
|
| const double &dparam,
|
| const string &sparam)
|
| {
|
| //---
|
| if(id == 1001)
|
| Train();
|
| }
|
| //+------------------------------------------------------------------+
|
| //| |
|
| //+------------------------------------------------------------------+
|
| //| | T ra in implementation. |
|
| //+------------------------------------------------------------------+
|
| void Train(void)
|
| {
|
| //---
|
| MqlDateTime start_time;
|
| TimeCurrent(start_time);
|
| start_time.year -= StudyPeriod;
|
| if(start_time.year <= 0)
|
| start_time.year = 1900;
|
| datetime st_time = StructToTime(start_time);
|
| //---
|
| int bars = CopyRates(Symb.Name(), TimeFrame, st_time, TimeCurrent(), Rates);
|
| if(!RSI.BufferResize(bars) || !CCI.BufferResize(bars) || !ATR.BufferResize(bars) || !MACD.BufferResize(bars))
|
| return;
|
| if(!ArraySetAsSeries(Rates, true))
|
| return;
|
| //---
|
| RSI.Refresh();
|
| CCI.Refresh();
|
| ATR.Refresh();
|
| MACD.Refresh();
|
| //---
|
| int total = bars - (int)HistoryBars;
|
| matrixf data;
|
| if(!data.Init(total, 8 * HistoryBars))
|
| {
|
| ExpertRemove();
|
| return;
|
| }
|
| //---
|
| for(int i = 0; i < total; i++)
|
| {
|
| Comment(StringFormat("Create data: %d of %d", i, total));
|
| for(int b = 0; b < (int)HistoryBars; b++)
|
| {
|
| int bar = i + b;
|
| int shift = b * 8;
|
| double open = Rates[bar]
|
| .open;
|
| data[i, shift] = float(open - Rates[bar].low);
|
| data[i, shift + 1] = float(Rates[bar].high - open);
|
| data[i, shift + 2] = float(Rates[bar].close - open);
|
| data[i, shift + 3] = float(RSI.GetData(MAIN_LINE, bar));
|
| data[i, shift + 4] = float(CCI.GetData(MAIN_LINE, bar));
|
| data[i, shift + 5] = float(ATR.GetData(MAIN_LINE, bar));
|
| data[i, shift + 6] = float(MACD.GetData(MAIN_LINE, bar));
|
| data[i, shift + 7] = float(MACD.GetData(SIGNAL_LINE, bar));
|
| }
|
| }
|
| //---
|
| ResetLastError();
|
| if(!PCA.Study(data))
|
| {
|
| printf("Ошибка выполнения %d", GetLastError());
|
| return;
|
| }
|
| int handl = FileOpen("pca.net", FILE_WRITE | FILE_BIN);
|
| if(handl != INVALID_HANDLE)
|
| {
|
| PCA.Save(handl);
|
| FileClose(handl);
|
| }
|
| //---
|
| Comment("");
|
| ExpertRemove();
|
| }
|
| //+------------------------------------------------------------------+
|
|
|
